Fast local linear regression with anchor regularization

Regression is an important task in machine learning and data mining. It has several applications in various domains, including finance, biomedical, and computer vision. Recently, network Lasso, which estimates local models by making clusters using the network information, was proposed and its superior performance was demonstrated. In this study, we propose a simple yet effective local model training algorithm called the fast anchor regularized local linear method (FALL). More specifically, we train a local model for each sample by regularizing it with precomputed anchor models. The key advantage of the proposed algorithm is that we can obtain a closed-form solution with only matrix multiplication; additionally, the proposed algorithm is easily interpretable, fast to compute and parallelizable. Through experiments on synthetic and real-world datasets, we demonstrate that FALL compares favorably in terms of accuracy with the state-of-the-art network Lasso algorithm with significantly smaller training time (two orders of magnitude).

[1]  R. Tibshirani,et al.  Sparsity and smoothness via the fused lasso , 2005 .

[2]  Lucas Cassiel Jacaruso A method of trend forecasting for financial and geopolitical data: inferring the effects of unknown exogenous variables , 2018, Journal of Big Data.

[3]  Max A. Little,et al.  Accurate Telemonitoring of Parkinson's Disease Progression by Noninvasive Speech Tests , 2009, IEEE Transactions on Biomedical Engineering.

[4]  J. Sherman,et al.  Adjustment of an Inverse Matrix Corresponding to a Change in One Element of a Given Matrix , 1950 .

[5]  H. Zou,et al.  Regularization and variable selection via the elastic net , 2005 .

[6]  Saket Navlakha,et al.  Predicting age from the transcriptome of human dermal fibroblasts , 2018, Genome Biology.

[7]  Rok Sosic,et al.  SnapVX: A Network-Based Convex Optimization Solver , 2017, J. Mach. Learn. Res..

[8]  Zhifeng Bao,et al.  Location-Centered House Price Prediction: A Multi-Task Learning Approach , 2019, ACM Trans. Intell. Syst. Technol..

[9]  Gaël Varoquaux,et al.  Scikit-learn: Machine Learning in Python , 2011, J. Mach. Learn. Res..

[10]  Tanasanee Phienthrakul,et al.  Sentiment Classification Using Document Embeddings Trained with Cosine Similarity , 2019, ACL.

[11]  John Shawe-Taylor,et al.  Localized Lasso for High-Dimensional Regression , 2016, AISTATS.

[12]  Roberto Todeschini,et al.  Prediction of Acute Aquatic Toxicity toward Daphnia Magna by using the GA-kNN Method , 2014, Alternatives to laboratory animals : ATLA.

[13]  Colin Raffel,et al.  Exploring the Limits of Transfer Learning with a Unified Text-to-Text Transformer , 2019, J. Mach. Learn. Res..

[14]  Yudong Zhang,et al.  Stock market prediction of S&P 500 via combination of improved BCO approach and BP neural network , 2009, Expert Syst. Appl..

[15]  Anil K. Jain,et al.  Age estimation from face images: Human vs. machine performance , 2013, 2013 International Conference on Biometrics (ICB).

[16]  R. Tibshirani Regression Shrinkage and Selection via the Lasso , 1996 .

[17]  Gabriel Peyré,et al.  Computational Optimal Transport , 2018, Found. Trends Mach. Learn..

[18]  M. Bartlett An Inverse Matrix Adjustment Arising in Discriminant Analysis , 1951 .

[19]  R Todeschini,et al.  A similarity-based QSAR model for predicting acute toxicity towards the fathead minnow (Pimephales promelas). , 2015, SAR and QSAR in environmental research (Print).

[20]  Stephen P. Boyd,et al.  Network Lasso: Clustering and Optimization in Large Graphs , 2015, KDD.

[21]  I-Cheng Yeh,et al.  Modeling of strength of high-performance concrete using artificial neural networks , 1998 .

[22]  Alexander J. Smola,et al.  Learning with kernels , 1998 .

[23]  Takuya Akiba,et al.  Optuna: A Next-generation Hyperparameter Optimization Framework , 2019, KDD.

[24]  K. Hamidieh A data-driven statistical model for predicting the critical temperature of a superconductor , 2018, Computational Materials Science.

[25]  Peter E. Hart,et al.  Nearest neighbor pattern classification , 1967, IEEE Trans. Inf. Theory.